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A Bayesian approach to state space multivariate time series modeling

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  • Dorfman, Jeffrey H.
  • Havenner, Arthur M.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 52 (1992)
Issue (Month): 3 (June)
Pages: 315-346

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Handle: RePEc:eee:econom:v:52:y:1992:i:3:p:315-346

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Zellner, Arnold, 1978. "Estimation of functions of population means and regression coefficients including structural coefficients : A minimum expected loss (MELO) approach," Journal of Econometrics, Elsevier, Elsevier, vol. 8(2), pages 127-158, October.
  2. Tiao, George C & Tsay, Ruey S, 1983. "Multiple Time Series Modeling and Extended Sample Cross-Correlations," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 1(1), pages 43-56, January.
  3. Aoki, Masanao & Havenner, Arthur, 1989. "A method for approximate representation of vector-valued time series and its relation to two alternatives," Journal of Econometrics, Elsevier, Elsevier, vol. 42(2), pages 181-199, October.
  4. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986. "Forecasting and conditional projection using realistic prior distribution," Staff Report, Federal Reserve Bank of Minneapolis 93, Federal Reserve Bank of Minneapolis.
  5. Zellner, Arnold & Williams, Anne D., 1973. "Bayesian analysis of the federal reserve- MIT-Penn model's almon lag consumption function," Journal of Econometrics, Elsevier, Elsevier, vol. 1(3), pages 267-299, October.
  6. Hall, A D & McAleer, Michael, 1989. "A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 7(1), pages 95-106, January.
  7. Garcia-Ferrer, Antonio, et al, 1987. "Macroeconomic Forecasting Using Pooled International Data," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 5(1), pages 53-67, January.
  8. Thompson, Patrick A & Miller, Robert B, 1986. "Sampling the Future: A Bayesian Approach to Forecasting from Univariate Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 4(4), pages 427-36, October.
  9. Havenner, Arthur & Aoki, Masanao, 1988. "An instrumental variables interpretation of linear systems theory estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 12(1), pages 49-54, March.
  10. Pagan, Adrian, 1979. "Some consequences of viewing LIML as an iterated Aitken estimator," Economics Letters, Elsevier, vol. 3(4), pages 369-372.
  11. Monahan, John F., 1983. "Fully Bayesian analysis of ARMA time series models," Journal of Econometrics, Elsevier, Elsevier, vol. 21(3), pages 307-331, April.
  12. Geweke, John, 1988. "Antithetic acceleration of Monte Carlo integration in Bayesian inference," Journal of Econometrics, Elsevier, Elsevier, vol. 38(1-2), pages 73-89.
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Cited by:
  1. Gonzalo Camba-Mendez & George Kapetanios, 2005. "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers 541, Queen Mary, University of London, School of Economics and Finance.
  2. Jaromir Antoch & Jan Hanousek, 2001. "Model Selection and Simplification Using Lattices," Econometrics, EconWPA 0012004, EconWPA.
  3. Dorfman, Jeffrey H., 1995. "A numerical bayesian test for cointegration of AR processes," Journal of Econometrics, Elsevier, Elsevier, vol. 66(1-2), pages 289-324.

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